US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 7

     EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)

            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN

3:00       7.75%   7.49%    4.12%   3.95%   2.80%   2.57%   13.09%   12.20%

11:00      7.36%   7.19%    3.76%   3.84%   2.59%   2.46%   12.38%   13.27%  

THU OPEN   7.48%   7.28%    4.02%   3.88%   2.57%   2.54%   10.46%   12.97%

WED 3:00   7.63%   7.15%    4.16%   3.89%   2.72%   2.53%   12.00%   13.25%

WED OPEN   7.27%   6.97%    3.96%   3.82%   2.62%   2.45%   11.38%   13.19%

TUE 3:00   6.97%   6.90%    3.80%   3.76%   2.71%   2.45%   13.32%   12.60% 

TUE OPEN   7.14%   6.91%    3.91%   3.79%   2.61%   2.47%   14.05%   12.56%

MON 3:00   6.94%   6.98%    4.27%   3.88%   2.59%   2.49%   17.21%   17.76%

MON OPEN   7.15%   7.13%    4.20%   3.91%   2.69%   2.51%   13.98%   14.31%

FRI 3:00   7.21%   7.14%    3.94%   3.84%   2.62%   2.54%   14.74%   13.38% 

FRI OPEN   7.37%   7.29%    4.08%   3.86%   2.72%   2.60%   15.90%   14.12%

THU 3:00   7.66%   7.44%    4.34%   4.12%   3.01%   2.76%   15.52%   16.28%

THU OPEN   7.53%   7.40%    4.26%   4.07%   3.96%   2.70%   17.48%   15.69%

WED 3:00   7.74%   7.61%    4.35%   4.16%   3.07%   2.81%   17.22%   16.48%

WED 12:30  7.69%   7.57%    4.24%   4.09%   3.04%   2.75%   17.29%   16.07%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  120.00 C  101,999   -2,325   118.00 P  128,339  -4,044

SEP18 10Y NOTE  121.00 C   39,230     +849   117.00 P   50,355     -73

JUL18 5Y NOTE   114.00 C   54,453   -7,360   113.00 P   56,355  +2,985

SEP18 5Y NOTE   113.50 C   22,194     +146   106.25 P   91,578    UNCH

JUL18 2Y NOTE   106.37 C  124,944     +200   105.67 P    8,465    UNCH

SEP18 2Y NOTE   106.80 C    5,000     UNCH   106.00 P   11,253    -100

JUN18 EURODLR    98.00 C  373,361     UNCH    97.50 P  504,470    UNCH  

JUL18 EURODLR    97.75 C  108,549     UNCH    97.37 P  112,864    UNCH

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.00 P  360,918  +4,725

JUN20 2Y-MIDC    97.37 C  151,050     UNCH    97.37 P  164,552    UNCH

JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  119.00 C   58,392     -146   119.00 P  111,867 -18,734

JUL18 10Y NOTE  119.50 C   76,322   +4,685   119.50 P   80,847  -3,031

SEP18 10Y NOTE  119.00 C   20,574      +16   119.00 P   30,028    +166

SEP18 10Y NOTE  119.50 C   21,135   +1,408   119.50 P   18,359    +945

JUL18 5Y NOTE   113.00 C   53,545     +577   113.00 P   56,355  +2,985

JUL18 5Y NOTE   113.50 C   45,599   +5,564   113.50 P   23,627    -597

SEP18 5Y NOTE   113.00 C    5,716      +50   113.00 P    7,904     +61

SEP18 5Y NOTE   113.50 C   22,194     +146   113.50 P   18,564    +138

JUL18 2Y NOTE   106.00 C    1,166     UNCH   106.00 P    2,654    UNCH

JUL18 2Y NOTE   106.12 C   31,406       -6   106.12 P      201    UNCH

SEP18 2Y NOTE   106.00 C      494     UNCH   106.00 P   11,253    -100

SEP18 2Y NOTE   106.12 C       65      +65   106.12 P        0    UNCH

JUN18 EURODLR    97.75 C  353,204     -900    97.75 P  373,740  -1,480

JUN18 EURODLR    97.87 C  369,147     UNCH    97.87 P  307,096    UNCH

JUL18 EURODLR    97.50 C   38,605     +142    97.50 P   92,259    +900

JUL18 EURODLR    97.62 C   74,522   +2,352    97.62 P   42,984    UNCH

JUN19 1Y-MIDC    97.37 C  169,374     UNCH    97.37 P  220,467    -377

JUN19 1Y-MIDC    97.50 C  187,820     UNCH    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   47,812      +50    97.00 P  104,638  -1,000

JUN20 2Y-MIDC    97.12 C   79,771     +650    97.12 P   99,459    UNCH

JUN21 3Y-MIDC    96.87 C   19,811     UNCH    96.87 P   47,614  -4,860

JUN21 3Y-MIDC    97.00 C   62,461     UNCH    97.00 P   70,586    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 1.13 (136,117 PUTS VS. 120,589 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.89 (59,788 PUTS VS. 31,657 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.46 (23,502 PUTS VS. 51,478 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.78 (32,090 PUTS VS. 40,956 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.41 (255 PUTS VS. 618 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 52.3 (12,661 PUTS VS. 242 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.70 (20,450 PUTS VS. 29,396 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.09 (1,500 PUTS VS. 17,500 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 3.13 (81,159 PUTS VS. 25,900 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 6.51 (24,100 PUTS VS. 3,700 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (5,000 PUTS VS. 0 CALLS)

     (VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED ALL REFLECT

PRIOR SESSION'S DATA.)

     Swaption BP/Vol Via Bloomberg:

Time (ET)    3M/2Y   1M/10Y    3M/5Y   3M/10Y   2Y/10Y    5Y/5Y

3:00         50.25    58.52    61.60    62.25    70.71    75.26

11:00        50.25    58.52    61.60    62.25    70.71    75.26

THU OPEN     50.53    59.57    61.87    62.34    70.73    75.36

WED 3:00     50.29    59.43    61.56    62.00    70.59    75.34

WED OPEN     50.07    58.69    61.09    61.47    70.39    75.26

TUE 3:00     50.29    58.64    61.45    61.87    70.47    75.23

TUE OPEN     50.89    58.64    61.53    61.66    70.52    75.05

MON 3:00     50.92    58.81    61.53    61.54    70.66    75.24

MON OPEN     52.93    60.52    63.78    63.55    71.07    75.22

FRI 3:00     51.86    61.11    63.85    63.42    71.17    75.24

FRI OPEN     54.83    63.74    65.73    65.04    71.83    75.52

THU 3:00     54.01    65.92    66.15    65.96    71.40    74.93

THU OPEN     53.92    66.02    65.69    65.17    71.06    74.69

WED 3:00     53.12    68.79    65.95    66.24    70.82    74.30

WED 12:30    52.91    68.40    65.71    66.03    70.80    74.19

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]